Accurate Numerical Method for Pricing Two-Asset American Put Options
Work
Year: 2013
Type: article
Abstract: We develop an accurate finite difference scheme for pricing two-asset American put options. We use the central difference method for space derivatives and the implicit Euler method for the time deriva... more
Author Xianbin Wu
Institution Zhejiang Wanli University
Cites: 30
Cited by: 3
Related to: 10
FWCI: 0.329
Citation percentile (by year/subfield): 69.95
Subfield: Finance
Domain: Social Sciences
Open Access status: gold
APC paid (est): $2,100